Correlation Between S&P 500 Index and MSCI EAFE Index Since 1997, the high correlation between U.S. and international equity markets suggests that the MSCI EAFE may only offer a slight risk/return benefit as a complement to a U.S. equity portfolio. Picture source: First Eagle Investment Management, LLC
Heightened Correlations to U.S. Treasury Implied Volatility (MOVE) Followed by Higher Yields This chart suggests that balanced portfolios could suffer as U.S. Treasury yields generally rise after heightened correlation. Picture source: Arbor Research & Trading LLC
VIX and MOVE Correlation Periods of high correlation between VIX and MOVE are not good for balanced portfolios, because diversification is hard to find. Picture source: Arbor Research & Trading LLC
U.S. Yield Curve 1M to 30Y and Correlation Against Fed Funds Effective Rate According to the chart, a 75bp cut is required to normalize the term structure of interest rates. Picture source: Fundstrat Global Advisors, LLC
Cross-Asset Correlation Matrix This spreadsheet showing the correlation between different asset classes, is useful for asset allocation. Picture source: Goldman Sachs Global Investment Research
Correlation Between the U.S. Economy and the World Economy This chart suggests that the U.S. economy has lagged the world economy since the Great recession. Picture source: Arbor Research & Trading LLC
Correlation Between S&P 500 and U.S. Treasuries This chart shows the correlation between stocks and bonds, which could affect a balanced 60/40 portfolio. Picture source: Arbor Research & Trading LLC
91.2% Correlation Between Gold Price and U.S. National Debt According to the National Inflation Association, there’s 91.2% correlation between gold price and U.S. national debt. The U.S. government’s public debt is now more than $22 trillion. Over the long term, the price of gold could continue to rise as debt increases. Picture source: U.S. Global…
99% Correlation with the US Stock Market and an R² of 0.97 since 1970 Our forecasting models have a fantastic 99% correlation with the US stock market on a quarterly basis since 1970 and an R² of 0.97. It means that 97 percent of the US stock market variance is predictable by the flows of data…
M1 Money Supply vs. Yield Curve and Recessions Great chart showing the correlation between M1 money supply and the yield curve. The key factor for inverted yield curves is tight money. Picture source: BofA Merrill Lynch Global Research
